Ruin-based risk measures in discrete-time risk models
| Autor: | Pierre Zuyderhoff, Hélène Cossette, Julien Trufin, Etienne Marceau |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Economics and Econometrics 050208 finance Actuarial science business.industry 05 social sciences Ruin theory 01 natural sciences Capital allocation line 010104 statistics & probability Risk model Discrete time and continuous time Homogeneous 0502 economics and business Subadditivity Economics 0101 mathematics Statistics Probability and Uncertainty Insurance portfolio business Risk management |
| Zdroj: | Insurance: Mathematics and Economics. 93:246-261 |
| ISSN: | 0167-6687 |
| Popis: | For an insurance company, effective risk management requires an appropriate measurement of the risk associated with an insurance portfolio. The objective of the present paper is to study properties of ruin-based risk measures defined within discrete-time risk models under a different perspective at the frontier of the theory of risk measures and ruin theory. Ruin theory is a convenient framework to assess the riskiness of an insurance business. We present and examine desirable properties of ruin-based risk measures. Applications within the classical discrete-time risk model and extensions allowing temporal dependence are investigated. The impact of the temporal dependence on ruin-based risk measures within those different risk models is also studied. We discuss capital allocation based on Euler’s principle for homogeneous and subadditive ruin-based risk measures. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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